Related papers: Asynchronous stochastic price pump
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
We propose a three-state microscopic opinion formation model for the purpose of simulating the dynamics of financial markets. In order to mimic the heterogeneous composition of the mass of investors in a market, the agent-based model…
We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We introduce a stochastic agent-based model for the flocking dynamics of self-propelled particles that exhibit velocity-alignment interactions with neighbours within their field of view. The stochasticity in the dynamics of the model arises…
We study social behaviour of agents on capital markets when these are perturbed by small perturbations. We use the mean field method. Social behaviour of agents on capital markets is described: volatility of the market, aversion constant…
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…
In Part I \cite{Zhao13TSPasync1}, we introduced a fairly general model for asynchronous events over adaptive networks including random topologies, random link failures, random data arrival times, and agents turning on and off randomly. We…
Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian…
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the volatility does vary. In quantitative finance, the Heston model…
Background: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However,…
Random Boolean Network has been used to find out regulation patterns of genes in organism. his approach is very interesting to use in a game such as N Person PD. Here we assume that action is influenced by input in the form of choices of…
Adaptive experiments, including efficient average treatment effect estimation and multi-armed bandit algorithms, have garnered attention in various applications, such as social experiments, clinical trials, and online advertisement…
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
In this paper the optimal control of alignment models composed by a large number of agents is investigated in presence of a selective action of a controller, acting in order to enhance consensus. Two types of selective controls have been…
This study proposes a distributed algorithm that makes agents' adaptive grouping entrap multiple targets via automatic decision making, smooth flocking, and well-distributed entrapping. Agents make their own decisions about which targets to…